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market microstructure, liquidity, security prices, transparency, market design
Flash Crash, Market Microstructure, Fragmentation, ETF
ETFs, premiums, discounts, price discovery
Electronic trading, liquidity, execution costs, return dynamics
tail risk, portfolio construction, mean-variance optimization, conditional value at risk
Russell Index, reconstitution, abnormal returns, price pressure effect, liquidity effect
Equity Investments, research sources, Portfolio Management, portfolio construction, rebalancing, and implementation
Factors, Market-Capitalization Benchmarks, Factor Mimicking Portfolios
Fragmentation, Off-Market Trading, Transparency, Anonymity, Electronic Communication Networks
Corporate bonds, electronic trading, auction markets, over-the-counter (OTC) trading
Fragmentation, upstairs trading, crossing networks, liquidity, cream skimming
IPO, underpricing, underwriting
ETFs, Mutual Funds, Returns
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Leveraged and inverse ETFs, market microstructure
Transaction costs, trading, alpha, portfolio management
Financial Markets: market structure, Portfolio Management: trading and execution, Corporate Finance
Exchange-Traded Funds, Leveraged ETF, Liquidity, Microstructure
